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2 IntroductionA random process is a process (i.e., variation in time or one dimensional space) whose behavior is not completely predictable and can be characterized by statistical laws.Examples of random processesDaily stream flowHourly rainfall of storm eventsStock index

3 Random VariableA random variable is a mapping function which assigns outcomes of a random experiment to real numbers. Occurrence of the outcome follows certain probability distribution. Therefore, a random variable is completely characterized by its probability density function (PDF).

10 Characterizations of a Stochastic ProcessesFirst-order densities of a random processA stochastic process is defined to be completely or totally characterized if the joint densities for the random variables are known for all times and all n.In general, a complete characterization is practically impossible, except in rare cases. As a result, it is desirable to define and work with various partial characterizations. Depending on the objectives of applications, a partial characterization often suffices to ensure the desired outputs.

11 For a specific t, X(t) is a random variable with distribution .The function is defined as the first-order distribution of the random variable X(t). Its derivative with respect to xis the first-order density of X(t).

12 If the first-order densities defined for all time t, i. eIf the first-order densities defined for all time t, i.e. f(x,t), are all the same, then f(x,t) does not depend on t and we call the resulting density the first-order density of the random process ; otherwise, we have a family of first-order densities.The first-order densities (or distributions) are only a partial characterization of the random process as they do not contain information that specifies the joint densities of the random variables defined at two or more different times.

13 Mean and variance of a random processThe first-order density of a random process, f(x,t), gives the probability density of the random variables X(t) defined for all time t. The mean of a random process, mX(t), is thus a function of time specified by

14 For the case where the mean of X(t) does not depend on t, we haveThe variance of a random process, also a function of time, is defined by

15 Second-order densities of a random processFor any pair of two random variables X(t1) and X(t2), we define the second-order densities of a random process as orNth-order densities of a random processThe nth order density functions for at times are given byor

16 Autocorrelation and autocovariance functions of random processesGiven two random variables X(t1) and X(t2), a measure of linear relationship between them is specified by E[X(t1)X(t2)]. For a random process, t1 and t2 go through all possible values, and therefore, E[X(t1)X(t2)] can change and is a function of t1 and t2. The autocorrelation function of a random process is thus defined by